Optimal martingale measures for defaultable assets

DOI10.1016/J.SPA.2012.04.004MaRDI QIDQ436296zbMATH OpenOpenAlexFDO

Authors Young Lee, Thorsten Rheinländer

Publication date 20 July 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2012.04.004

zbMATH Keywords

incomplete marketsmartingale measuresdefaultable assetsminimal entropy martingale measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 5894935 (Why is no real title available?)
• An entropy approach to the Stein and Stein model with correlation
• Credit risk: Modelling, valuation and hedging
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Exponential Hedging and Entropic Penalties
• Indifference pricing of defaultable claims
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• No Arbitrage and General Semimartingales
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• On the minimal entropy martingale measure.
• On the minimal martingale measure and the möllmer-schweizer decomposition
• The cumulant process and Esscher's change of measure
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

Cited in

(5)

• The minimal entropy martingale measure for exponential Markov chains
• The entropic measure transform
• Martingale densities for general asset prices
• scientific article; zbMATH DE number 2148411 (Why is no real title available?)
• scientific article; zbMATH DE number 1642331 (Why is no real title available?)

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